Carlo Ambrogio Favero, Massimiliano Marcellino, and Francesca Neglia, "Principal Components at Work: The Empirical Analysis of Monetary Policy with Large Data Sets", Journal of Applied Econometrics, Vol. 20, No. 5, 2005, pp. 603-620. The data used in the article are from Datastream and the SourceOECD online database. They are contained in the files eu.txt and us.txt. The variables used in our study are described in the files eudataset.txt and usdataset.txt. The files us_program.txt and eu_program.txt are the EViews programs to generate the forward-looking Taylor rules and the VAR for the US and for EU countries, respectively. Note that BD stands for Germany, FRA for France, ITA for Italy, and SPA for Spain. Programs should be copied and run in EViews environment. All these files (which are ASCII files in DOS format) are zipped in the file fmn-files.zip. Unix users should use "unzip -a". To replicate the results for US data: 1)open EViews 2)open new dataset (monthly, 1959:03 1998:12) 3)copy file us_program.txt in a new program (NOTE that by default the directory with all unzipped files follows the path c:\unzipped\fmn-files! The path has to be changed accordingly to the directory in which all unzipped files are saved) 4)run it Repeat the previous procedure to replicate results for EU data (monthly, 1970:10 - 2002:12), using eu_program.txt. Please address any questions to: Carlo A. Favero IGIER, IEP - Bocconi University via Salasco 5 20146 Milano Italy carlo.favero unibocconi.it